You can ignore the warning, the signature will only be truly trusted if you met Phil and gave you the signature in person so you can make sure it's really his.
You have to write/extract (not copy) only the iso to the stick, the rest are only needed for the verification, but you may keep them.
If you are writing the stick from Manjaro (or any other Linux distro), you obviously have to use something else than Rufus. If you don't want to use a graphical tool, you can also do it from the terminal with the dd command.
sudo dd if=/path/to/isofile.iso of=/dev/sdX bs=4M status=progress && sync
sudo dd if=manjaro-xfce-17.0-stable-x86_64.iso of=/dev/sdb bs=4M status=progress && sync
if= inputfile - here you have to put the path to and name of the iso file, including the extension. If you navigate the terminal to the folder where the isofile is located, you only have to put the name of the file here.
of= outputfile - you have to put the name of your usb device here. It starts with /dev/sd, and the last letter depends on how many drives you have attached, including all internal and external drives (sda, sdb, sdc, and so on). You can check this with the lsblk command. Be careful, because dd erases all the given drive, so make sure you put the right name here or you will lose data.
bs= block size (optional) - the size of data blocks written to the stick on one go. Some use 1M (megabyte), some suggest 4M, or it can be left out.
status=progress (optional) - if you use this, you will see the progress while data is written
&& sync - it might appear that the writing is finished, but there is still data transfer occurring in the background. Use && sync to avoid removing the stick before the process finished. The process is finished when you get back the command prompt.